行业因素对股票价格波动率的影响研究

发布时间：2018-01-16 01:00

本文关键词：行业因素对股票价格波动率的影响研究　出处：《山东大学》2013年硕士论文　论文类型：学位论文

【摘要】：在金融投资领域以及资产配置实践操作中,不论从机构投资者的配置策略还足从板块活跃程度来看,行业的不同会导致股价波动性的差异,这一理念更足被贯彻到券商和基金等机构投资者的诸如行业研究部等研究职能部门的设置上。虽然学界早就认识到了行业因素对经济和股市的重要影响,但显然远不如金融投资业界重视,对行业因素影响股价问题的研究仍然较为零散,缺乏系统性。鉴于理论和实践的差距,本文重点从行业自身因素这一层面分析,探讨了行业对经济周期敏感性、行业所处生命周期、行业的市场结构等行业因素对股票价格波动的影响机制,选择了铝冶炼、铜矿及铜冶炼、金矿及金冶炼、棉花种植、人造纤维制造、制糖业等六个行业进行实证,并尝试用面板数据模型分析各种行业因素变量对股票价格波动率的影响。理论分析部分借助经典的股票价值模型,利用Campbell波动率分解模型将市场波动率从行业波动率中剔除,得到行业特质波动率,进而由行业因素对行业特质波动率的影响进行分析得到理论模型。在实证分析部分,采用几何布朗运动模型刻画股价运动,参考理论分析的指标作为变量,综合考虑代表性和数据可得性选取样本,编制行业股票价格指数,构建面板数据模型进行计检验,以量化这些因素影响股票价格波动率的程度。从目前的文献来看,国内对行业因素影响股票价格波动的产生、传导、发挥作用的机制的探讨较少,本文的分析将丰富这方面的研究。此外,对行业因素影响股票价格波动的具体指标进行实证将有助于进一步细化和量化这些因素影响的方向和程度。在投资实践中,虽然业界重视行业因素对资产价格的影响,但在具体操作中,各种具体行业因素指标足否都有影响、影响足否相同、不同的行业因素变量的影响程度足多少等,这些问题都还没有得到一致的答案。本文通过对有所选取的六个行业27个季度数据的实证研究试图得到上述问题的答案,为股票资产配置提供解决思路,为证券市场的行业研究、行业分析做出启示与参考,并对金融投资机构的金融风险计量、预测和管理有指导意义。
[Abstract]:In the field of financial investment and asset allocation practice, whether from the allocation strategy of institutional investors or from the level of plate activity, different industries will lead to the volatility of stock prices. This concept has been more fully implemented in institutional investors such as securities firms and funds, such as the establishment of research functions such as industry research, although the academic community has long recognized the important impact of industry factors on the economy and the stock market. However, the research on the influence of industry factors on stock price is still scattered and lack of systematicness. In view of the gap between theory and practice, this paper focuses on the analysis of the industry's own factors, and discusses the industry's sensitivity to the economic cycle and the industry's life cycle. The influence mechanism of market structure and other industry factors on stock price fluctuation has chosen aluminum smelting, copper and copper smelting, gold and gold smelting, cotton planting, man-made fiber manufacturing. Six industries, such as sugar industry, are tested and the panel data model is used to analyze the influence of various industry factors on the volatility of stock price. The theoretical analysis part uses the classical stock value model and the Campbell volatility decomposition model to remove the market volatility from the industry volatility and get the industry characteristic volatility. In the part of empirical analysis, the geometric Brownian motion model is used to describe the stock price movement, and the index of theoretical analysis is used as the variable. Taking into account the representativeness and the availability of data, we select samples, compile the industry stock price index, and construct the panel data model to measure and test. In order to quantify the extent of these factors affecting the volatility of stock prices. From the current literature, the domestic industry factors affect the emergence of stock price fluctuations, conduct, play a role in the mechanism of less discussion. The analysis of this paper will enrich the research in this field. It will be helpful to further refine and quantify the direction and extent of the impact of the industry factors on the stock price volatility. In the investment practice. Although the industry attaches importance to the impact of industry factors on asset prices, but in the specific operation, a variety of specific industry factor indicators have an impact, the impact is the same, the degree of influence of different industry factors variable is sufficient, and so on. These questions have not been answered unanimously. This paper tries to get the answers to the above questions through empirical research on 27 quarters of selected six industries to provide solutions for the allocation of stock assets. For the industry research of the securities market, the industry analysis makes the enlightenment and the reference, and has the guidance significance to the financial risk measurement, the forecast and the management of the financial investment institution.
【学位授予单位】：山东大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F224

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